Statistical hypothesis testing in wavelet analysis: theoretical developments and applications to Indian rainfall

Abstract

Statistical hypothesis tests in wavelet analysis are methods that assess the degree to which a wavelet quantity (e.g., power and coherence) exceeds background noise. Commonly, a point-wise approach is adopted in which a wavelet quantity at every point in a wavelet spectrum is individually compared to the critical level of the point-wise test. However, because adjacent wavelet coefficients are correlated and wavelet spectra often contain many wavelet quantities, the point-wise test can produce many false positive results that occur in clusters or patches. To circumvent the point-wise test drawbacks, it is necessary to implement the recently developed area-wise, geometric, cumulative area-wise, and topological significance tests, which are reviewed and developed in this paper. To improve the computational efficiency of the cumulative area-wise test, a simplified version of the testing procedure is created based on the idea that its output is the mean of individual estimates of statistical significance calculated from the geometric test applied at a set of point-wise significance levels. Ideal examples are used to show that the geometric and cumulative area-wise tests are unable to differentiate wavelet spectral features arising from singularity-like structures from those associated with periodicities. A cumulative arc-wise test is therefore developed to strictly test for periodicities by using normalized arclength, which is defined as the number of points composing a cross section of a patch divided by the wavelet scale in question. A previously proposed topological significance test is formalized using persistent homology profiles (PHPs) measuring the number of patches and holes corresponding to the set of all point-wise significance values. Ideal examples show that the PHPs can be used to distinguish time series containing signal components from those that are purely noise. To demonstrate the practical uses of the existing and newly developed statistical methodologies, a first comprehensive wavelet analysis of Indian rainfall is also provided. An R software package has been written by the author to implement the various testing procedures..